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Kienitz Wetterau FinModelling


Financial Modelling

18 total contributions since 2012

Professional Interests: Option Pricing, Risk Management, Mathematical Finance

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Submitted


ZABR Stochastic Volatility Smile Modelling
This is a toy implementation of the ZABR Model from Andreasen and Huge

mehr als 4 Jahre ago | 4 downloads |

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Optimization and Calibration
We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.

fast 7 Jahre ago | 12 downloads |

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Hedge Analysis
Illustration of chapter 10 of the book. This covers hedge strategies as Delta-Gamma or Mean Variance

fast 7 Jahre ago | 3 downloads |

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Student VaR / CVaR
Student VaR and CVaR against Gaussian risk figures

fast 7 Jahre ago | 4 downloads |

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The SABR Model - Densities and MC
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method

fast 7 Jahre ago | 4 downloads |

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Pricing and Calibration Framework (Object Oriented)
Object Oriented Framework for Pricing, Calibration and Hedging.

fast 7 Jahre ago | 3 downloads |

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Libor Market Model Adjoint Greeks (LMM)
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)

fast 7 Jahre ago | 4 downloads |

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Matlab Basics
Illustration of the stuff of Chapter 11 of the book

fast 7 Jahre ago | 3 downloads |

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COS Method (Multiple Strikes, Bermudan, Greeks)
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once

fast 7 Jahre ago | 4 downloads |

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Modern Pricing Method using Transforms
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.

fast 7 Jahre ago | 8 downloads |

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Monte Carlo Simulation and Derivatives Pricing
Monte Carlo Schemes for advanced models and pricing of derivatives

etwa 7 Jahre ago | 7 downloads |

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Heston and SABR Unbiased Schemes
Unbiased Schemes for Heston and SABR.

etwa 7 Jahre ago | 4 downloads |

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American Monte Carlo
Algorithms for pricing American Style derivatives with Monte Carlo Simulation

etwa 7 Jahre ago | 6 downloads |

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Fixed Grid and Stochastic Grid Monte Carlo Sampling
We cover two methods for sampling from Jump Diffusion Models

etwa 7 Jahre ago | 4 downloads |

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Bridge Sampling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)

etwa 7 Jahre ago | 4 downloads |

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Risk Neutral Densities for Financial Models
Risk neutral densities for advanced financial models used for option pricing

etwa 7 Jahre ago | 9 downloads |

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CMS Spread Caps Stochastic Local Volatility Libor Market Model
Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model.

mehr als 7 Jahre ago | 3 downloads |

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FinancialModelling_Ch2_ImpliedVolatility
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models

mehr als 7 Jahre ago | 7 downloads |

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